Abstract: The electricity selling company is a brand new role appeared in the new round reform of electricity market, and the evaluation on its credit risk can perfect the credit management system of electricity market. The credit risk evaluation is the important safeguard to promote the ordered operation of electricity market. By means of establishing a multi-level credit risk indicator system containing five dimensions the credit risk of electricity selling company could be identified. After determining the weight of the index by utilizing Bayesian best and worst method, based on normal cloud model a credit risk evaluation model of electricity selling company was constructed. Taking related data of four electricity selling company as the objects, the analysis of examples was performed. Analysis results show that both market trading behavior and financial condition are the key factors impacting the credit risk of electricity selling company, and the constructed model can effective evaluate the credit risk of electricity selling company and provide effective tool for credit risk management of electricity selling company.